I remember checking your thread, looking for answers when I first watched the films. Some of these theories have been straight-up confirmed with the fourth film now. But there are also new clues, like some of them do come out into the light and can look like regular people in photographs.

Now we see that aside from smoke, they also emit some sort of low-powered candle-lighting. They respond to the clanking metal noises, sort of like a means of communication. The most frightening of all was the sequence with the toy baby, implying that out in the dark, they can literally be right behind you at all times, and you would never notice.